Johansen Cointegration Test
Tests whether a group of wandering series still move together in a stable long-run relationship.
Individual interest rate and exchange rate series can each wander unpredictably, yet still stay 'tethered' to each other over the long run — for example, short and long-term Canadian bond yields tend not to drift apart forever. When that tethering relationship exists, series are called cointegrated.
The Johansen test checks for this among a whole group of series at once, and estimates how many independent long-run relationships (the 'cointegration rank') exist among them.
This matters for forecasting: if the series are cointegrated, a model called VECM (which explicitly accounts for that long-run tether) tends to forecast better than a plain VAR model that ignores it. See the verdict for the current data on the diagnostics page.